EBA · 2022_6424 Rejected question

The potential future exposure of a netting set with bilaterally exchanged collateral

Regulation
Regulation (EU) No 2019/2033 (IFR)
Article
29, para. 8
Topic
K-factor requirements
Submitted by
Investment firm
Submitted
2022-04-13
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Question

The potential future exposure of a netting set with clients for which collateral is exchanged bilaterally may be decreased to 42%. Is it applicable only if the investment firm is the recepient of the collateral (initial and variation margin) or it can be also applied if the investment firm is the collateral provider.

Background

In IFR article 29 paragraph 8 is stated that the potential future exposure of a netting set is the sum of the potential future exposure of all transactions included in the netting set, multiplied by 0,42, for netting sets of transactions with financial and non‐financial counterparties for which collateral is exchanged bilaterally with the counterparty, if required, in accordance with the conditions laid down in Article 11 of Regulation (EU) No 648/2012;
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6424

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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